diff options
Diffstat (limited to 'python/exploration')
| -rw-r--r-- | python/exploration/tranches.py | 15 |
1 files changed, 10 insertions, 5 deletions
diff --git a/python/exploration/tranches.py b/python/exploration/tranches.py index 7b475821..430e8492 100644 --- a/python/exploration/tranches.py +++ b/python/exploration/tranches.py @@ -7,7 +7,7 @@ import analytics.basket_index as idx_bkt import numpy as np import pandas as pd -from analytics import Swaption, BlackSwaption, Index, BlackSwaptionVolSurface, Portfolio +from analytics import Swaption, BlackSwaption, Index, BlackSwaptionVolSurface, Portfolio, ProbSurface from analytics.scenarios import run_swaption_scenarios, run_index_scenarios, run_portfolio_scenarios, run_tranche_scenarios import exploration.swaption_calendar_spread as spread from scipy.interpolate import interp1d @@ -99,14 +99,19 @@ def dispersion(): def run_scen(portf, tranche, spread_shock): #Start with swaptions + index = portf.indices[0].index_type + series = portf.indices[0].series + trade_date=portf.indices[0].trade_date + earliest_expiry = min(portf.swaptions, key=lambda x: x.exercise_date).exercise_date - date_range = pd.bdate_range(portf.indices[0].trade_date, - earliest_expiry - pd.offsets.BDay(), freq='5B') - vs = BlackSwaptionVolSurface(portf.indices[0].index_type, - portf.indices[0].series, trade_date=portf.indices[0].trade_date) + date_range = pd.bdate_range(trade_date, earliest_expiry - pd.offsets.BDay(), freq='5B') + vs = BlackSwaptionVolSurface(index,series, trade_date=trade_date) + ps = ProbSurface(index,series, trade_date=trade_date) vol_surface = vs[vs.list(option_type='payer')[-1]] df = run_portfolio_scenarios(portf, date_range, spread_shock, np.array([0]), vol_surface, params=["pnl", "delta"]) + df['frac_year'] = (df.index - pd.to_datetime(trade_date)).days/365 + df['prob'] = df.apply(lambda df: ps.tail_prob(df.frac_year, df.spread, ps.list()[-1]), axis=1) #now do the tranches spread_range = (1+ spread_shock) * portf.indices[0].spread |